Information Asymmetries, Volatility, Liquidity and the Tobin Tax
Information asymmetries and trading costs, in a financial market model with dynamic information, generate a self-exciting equilibrium price process...
Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error
The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall...
Endogenous Market Making and Network Formation
This paper proposes a theory of intermediation in which intermediaries emerge endogenously as the choice of agents. In contrast to the previous...
Endogenous Contractual Externalities
We study effort and risk-taking behaviour in an economy with a continuum of principal-agent pairs where each agent exerts costly hidden effort. When...
Sovereign bond purchases and risk sharing arrangements: Sharing: Myth and Reality of the European QE
In March, the Eurosystem started to purchase on the secondary market euro-denominated bonds issued by governments, agencies and European institutions...
Interaction between monetary policy and bank regulation: Theory and European practice
The European Union has pursued a number of initiatives to create a safer and sounder financial sector for the single market. In parallel, bold...
The macro-micro conflict
There has always been conflict between macro- and microeconomic regulation. Microeconomic policy reigns supreme during good times, and macro during...
Human Capital and International Portfolio Diversification: A Reappraisal
We study the implications of human capital hedging for international portfolio choice. First, we document that, at the household level, the degree of...
Volatility, financial crises and Minsky's hypothesis
Does low volatility in financial markets mean that another financial crisis is more likely? And should we be worried when everything is OK? This...
Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints
Journal of Monetary Economics, Vol 75, pp. 21-34.
What is the expected return on the market?
This paper presents a new lower bound on the equity premium in terms of a volatility index, SVIX, that can be calculated from index option prices...
Shaken but not Stirred? The Banking System Seven Years after the Crisis
Speech given by Dr. Andreas Dombret, Member of the Executive Board of the Deutsche Bundesbank at the London School of Economics and Political Science...
Papers by Otmar Issing and Charles Goodhart on the occasion of a Conference in honour of Prof Ben Friedman, held in Frankfurt on June 24, 2015
Two papers read on the occasion of a Conference in honour of Prof Ben Friedman, held in Frankfurt on June 24, 2015. Their titles are: "Some remarks on...
Endogenous Contractual Externalities
We study effort and risk-taking behaviour in an economy with a continuum of principal-agent pairs where each agent exerts costly hidden effort. When...
